Tail variance allocation, Shapley value, and the majorization problem (Q6198966)
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scientific article; zbMATH DE number 7808664
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail variance allocation, Shapley value, and the majorization problem |
scientific article; zbMATH DE number 7808664 |
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Tail variance allocation, Shapley value, and the majorization problem (English)
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23 February 2024
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covariance matrix
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sum of random variables
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vector majorization
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cooperative games
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tail risk sharing
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